Market microstructure

I've beed reading about something called Market microstructure on these boards, I know there are some books on the subject but can someone please offer a summary of what Market microstructure is about? What does it measure ?

I trade YM intraday, is Market microstructure helpful for this kind of trading?

I've beed reading about something called Market microstructure on these boards, I know there are some books on the subject but can someone please offer a summary of what Market microstructure is about? What does it measure ?

I trade YM intraday, is Market microstructure helpful for this kind of trading?

Many Thanks

More...

you can google a formal definition but basically its all the factors that influence how a financial instrument is traded. (price formation, price discovery, transaction costs, etc, etc).

googling that term on amazon will bring you to 3-4 exceptional books on the subject. Probably the best known is Harris book called "Trading and Exchanges".

IB sent this book (oddly enough) to a lot of its customers a while back and a bunch got dumped onto ebay for a while.

I say oddly enough because although it doesn't contain one "trading setup" in the whole thing, its actually one of the best books on trading you could ever hope to read. Perhaps that is one of the reasons IB shipped it rather than something customers could complain about (I tried what the book said and lost a lot of money, yadda yadda).

A base knowlege of the subject is importat but if your just trading YM, it won't improve your trading much IMO. It becomes increasingly necessary to study microstructure when you are doing automated trading or having to move larger blocks around and have to figure out how to build your algrothims because market impact can be substantial if you aren't careful.

Market microstructure mostly is about information, orders, and volumes. It is highly theoritical, not intuitive, and sometimes wrong or relies on strong hypothesis.

However, some microstructure theories are important if you truly want to understand what trading is about, and differenciate between what is factual and what is simple luck.

- cosine

Quote from osho67:

Hello

I've beed reading about something called Market microstructure on these boards, I know there are some books on the subject but can someone please offer a summary of what Market microstructure is about? What does it measure ?

I trade YM intraday, is Market microstructure helpful for this kind of trading?

I am trading intraday and trying to go for longer moves, not trying to scalp a few points on a 100 trades or something similar, so in this scenario learning about Market microstructure would be less important ?